MS Proxy server 2.0 Downloading Problems

Can not download a file from the Internet on any client machine that is connected through proxy server. It will pop up a logon screen that says Firewall at the top and it ask for username, password, and domain. The thing is it will not accept any username or password that I put in, and after 3 attemtps it will give a error message saying “Internet explore was unable to open this internet site, try again later. How can I get proxy to allow downloads for all my clients. By the way all clients are setup for full access.